I was writing a SeekingAlpha article this weekend when I got an idea to improve the strategies. The basic concept is that bull moves happen when there are fewer FF5 states during given periods. I like 63 trade days days or about 3 months to do the count. The simplest idea is to go long if the Classical FF5 states are below a given number. If the number of states is above Classical FF5 states are used to go long as usual.
This enhancement takes care of the relative under performance seen in the 2nd quarter. There still is work required to understand this properly. The current day number is 19 out of 63. That is a trending market and most states should be bought, xFC might be an exception.
I’ll be taking the rest of the day off today.